還原真實理財市場：債市負反饋如何破局？
本文來自格隆匯專欄：中金研究 作者： 王子瑜 呂鬆濤 張帥
行業近況
近期，銀行理財產品較大的贖回壓力以及連帶的債市負反饋引起了資本市場較爲廣泛的關注。我們認爲理財投資者的低風險偏好、理財產品以散戶爲主的投資者結構，是推動本輪理財產品贖回-債市表現疲軟互相傳導的核心因素。而理財機構近2年對公募基金產品配置需求的提升，也使得拋售流動性更佳的短債基金成爲了理財機構的減倉手段；這也解釋了爲什麼理財機構似乎並未在債市有明顯的賣出行爲。向前看，我們認爲對市場更好的流動性呵護、有效緩解理財零售客戶非理性情緒的持續發酵，或是破局債市負反饋的有效手段。
評論
業績壓力始於債市博弈，理財客戶屬性推動產品業績、贖回壓力負反饋加劇。近期，一系列金融支持房地產政策出臺，資金面收緊擔憂升溫，市場開始博弈未來流動性環境與利率走勢，並開始逐步提前交易未來經濟復甦的預期。債市波動放大導致淨值型理財產品業績承壓，尤其是短期限理財產品，一方面受到短端利率更大幅度的調整，另一方面開放週期也更短、贖回壓力更大。由此，理財產品的贖回導致理財機構出售債券應對贖回，債券價格進一步下跌，理財產品業績繼續承壓，從而形成負反饋。
如何評估此輪的贖回壓力？與主流觀點不同，我們使用破淨產品的規模佔比去預估理財的贖回壓力，而非簡單的產品數量佔比；主要由於業績表現更好的產品通常規模相對更大，產品數量佔比可能放大了目前理財產品的業績壓力。截至11月16日，我們統計全市場破淨理財產品佔比2.45%，相較今年3月4.69%的破淨峯值仍有一定距離，產品業績表現相對仍有一定韌性。另外，我們認爲此輪影響對權益市場的關聯不大：一是理財機構目前權益倉位已降低至歷史低位（3.2%），二是目前股市表現相對平穩，不存在通過大幅減倉權益、實現理財產品浮動止損“淨值維穩”的邏輯支撐。所以目前債市單一市場對理財產品贖回的影響力度，可能暫未超過3月份股市、債市“雙熊”的影響。
由於基金具備更好的流動性，理財持有的短債基金遭遇拋壓。當債市行情快速反轉，債券市場的流動性有時無法支撐較快的調倉。而理財機構目前持有1.27萬億元公募基金（2Q22數據），其中債券型基金佔比74%（0.93萬億元）。我們認爲由於基金擁有更好的靈活性，理財機構通過贖回持有的短債基金（短期限理財產品久期較短，通常配置短債基金爲主）以更快速應對資產調倉，從而導致以短期純債爲主的基金產品遭遇拋壓。
展望未來：考慮到零售客戶更易受到悲觀情緒和輿論的影響做出非理性投資行爲，我們認爲未來幾天債市走勢、短期限理財產品業績表現是否止跌，或成爲能否平復投資者情緒的關鍵；理財機構本身難以在較短的週期對投資者進行有效、充分的教育與安撫。而流動性能否合理充裕、債市博弈能否達到平衡，以緩解對資金面緊張的預期，或成爲化解負反饋的有效外力。
風險
流動性投放不及預期，理財投資者負面情緒持續發酵。
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